Fast_Test_uSPA: Fast Test uniform Superior Predictive Ability

Description Usage Arguments Value Author(s) References See Also Examples

View source: R/Fast_Test_uSPA.R

Description

Implements the test for uniform Superior Predictive Ability (uSPA) of Quaedvlieg (2021)

Usage

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Fast_Test_uSPA(
  LossDiff,
  L,
  B = 999,
  num_cores = 1,
  seed = stats::runif(1, 0, .Machine$integer.max)
)

Arguments

LossDiff

the T x H matrix forecast path loss differential

L

the parameter for the moving block bootstrap

B

integer, the number of bootstrap iterations. Default 999

num_cores

integer, the number of cores to be used. Default 1

seed

integer, random seed for replication

Value

A list containing two objects:

"p_value"

the p-value for uSPA

"t_uSPA"

the statistics for uSPA

Author(s)

Luca Barbaglia https://lucabarbaglia.github.io/

References

Quaedvlieg, Rogier. "Multi-horizon forecast comparison." Journal of Business & Economic Statistics 39.1 (2021): 40-53.

See Also

Test_aSPA

Examples

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## Test for uSPA
Trow <- 200 
H <- 12
Mmethods <- 5
Losses <- matrix(rnorm(Trow*H, mean = 0), nrow = Trow, ncol = H)

Fast_Test_uSPA(LossDiff=Losses, L=3, B=10)

lucabarbaglia/MultiHorizonSPA documentation built on Dec. 12, 2021, 5:43 a.m.